How can I analyze VaR and Expected Losses at any hierarchy or confidence interval without waiting for a new set of risk reports?


Typically, VaR and Expected losses are computed on a limited set of hierarchies and confidence intervals. Making changes to these can be difficult due to restricted processing windows and long processing times. Anything not included in the production run may require changing the reports in the risk engine and re-computing the results. Often this means waiting hours if not days before obtaining risk information required for an analysis.


Red Swan’s Risk Cube allows users to re-evaluate risk for complex computations such as VaR or Expected loss at any hierarchy, confidence interval or risk setting, with no need to pass positions through the risk engine again. The Risk Cube computes VaR or Expected Loss on-the-fly from simulated returns from position level holdings. This allows computing VaR at any confidence level and any hierarchy without rerunning the portfolio through the risk engine.


Portfolio managers have access to portfolio risk information at the time when decisions are being made, not after the fact. Risk information can be used to inform the asset allocation decision instead of simply reporting on it. Risk analysts can interrogate risk results quickly to better analyze and understand contributions to risk from the position level up to the aggregate portfolio level.